S&P 500 Dynamic Intraday TCA Index Overview

This document is a technical report detailing the S&P 500 Dynamic Intraday TCA Index, which aims to provide exposure to the S&P 500 through E-mini S&P 500 futures while implementing an intraday volatility control and trend-following mechanism. The index features a dynamic weighting method and rebalances up to 13 times daily using a time-weighted average price (TWAP). The report includes key information such as the index's launch date, which was August 14, 2023, and its first value date of December 30, 2005. It also discusses the calculation frequency, which is real-time, and the currency used, which is USD. Additionally, the report outlines the methodology behind the index, emphasizing that any performance data prior to the launch date is hypothetical back-tested data, not actual performance. It also includes historical performance metrics and risk assessments, providing a comprehensive view of the index's performance characteristics.